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Nowcasting and predicting data revisions in real time using qualitative panel survey data

Matheson, Troy; Mitchell, James; Silverstone, Brian - Reserve Bank of New Zealand - 2007

The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly-used method to produce an aggregate quantitative indicator from business survey responses - the net balance, or...

Persistent link: https://www.econbiz.de/10005546685

The Forecasting and Policy System: demand-side satellite models

Breece, James; Cassino, Vincenzo - Reserve Bank of New Zealand - 1998

This paper presents three satellite models for the Forecasting and Policy System (FPS). Satellite models are used to disaggregate the projections generated by the core model into a more detailed profile. The household expenditure, exports, and business investment satellite models disaggregate...

Persistent link: https://www.econbiz.de/10005395313

An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys

Matheson, Troy - Reserve Bank of New Zealand - 2007

We examine the informational content of New Zealand data releases using a parametric dynamic factor model estimated with unbalanced real-time panels of quarterly data. The data are categorised into 21 different release blocks, allowing us to make 21 different factor model forecasts each quarter....

Persistent link: https://www.econbiz.de/10005395316

Real-time conditional forecasts with Bayesian VARs: An application to New Zealand

Bloor, Chris; Matheson, Troy - Reserve Bank of New Zealand - 2009

estimation techniques of Waggoner and Zha (1999). We examine the real-time forecasting performance as the size of the model … outperforms univariate and VAR benchmarks, and produces comparable forecast accuracy to the judgementally-adjusted forecasts … produced internally at the Reserve Bank of New Zealand. We analyse forecast performance and find that, while there are trade …

Persistent link: https://www.econbiz.de/10005007499

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - Reserve Bank of New Zealand - 2009

shocks to wages do not help to forecast inflation, the leading relationship from wages to non-tradable inflation implies that …

Persistent link: https://www.econbiz.de/10005007501

Forecasting Substantial Data Revisions in the Presence of Model Uncertainty

Garratt, Anthony; Koop, Gary; Vahey, Shaun P. - Reserve Bank of New Zealand - 2006

A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this paper, we compute the probability of "substantial revisions" that are...

Persistent link: https://www.econbiz.de/10005109763

Incorporating judgement with DSGE models

Beneš, Jaromír; Binning, Andrew; Lees, Kirdan - Reserve Bank of New Zealand - 2008

Central bank policymakers often cast judgement about macroeconomic forecasts in reduced form terms, basing this on off-model information that is not easily mapped to a structural DSGE framework. We show how to compute forecasts conditioned on policymaker judgement that are the most likely...

Persistent link: https://www.econbiz.de/10005109770

Phillips curve forecasting in a small open economy

Matheson, Troy - Reserve Bank of New Zealand - 2006

Stock and Watson (1999) show that the Phillips curve is a good forecasting tool in the United States. We assess whether this good performance extends to two small open economies, with relatively large tradable sectors. Using data for Australia and New Zealand, we find that the open economy...

Persistent link: https://www.econbiz.de/10005109787

Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand

Bloor, Chris; Matheson, Troy - Reserve Bank of New Zealand - 2008

We analyse a large Bayesian Vector Autoregression (BVAR) containing almost one hundred New Zealand macroeconomic time series. Methods for allowing multiple blocks of equations with block-specific Bayesian priors are described, and forecasting results show that our model compares favourably to a...

Persistent link: https://www.econbiz.de/10005061983

Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand

Basdevant, Olivier - Reserve Bank of New Zealand - 2003

The nature of expectations matters when conducting monetary policy. Models with a learning process can exhibit very different properties from models with other types of expectations rules. This paper draws on the work of Orphanides and Williams (2002), extending it to allow for the possibility...

Persistent link: https://www.econbiz.de/10005061990